Consumption Volatility Risk

• Autores: Oliver Boguth, Lars-Alexander Kuehn
• Localización: The Journal of finance, ISSN 0022-1082, Vol. 68, Nº 6, 2013, págs. 2589-2615
• Idioma: inglés
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• Resumen

  • We show that time variation in macroeconomic uncertainty affects asset prices. Consumption volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm level, exposure to consumption volatility risk predicts future returns, generating a spread across quintile portfolios in excess of 7% annually. This premium is explained by cross-sectional differences in the sensitivity of dividend volatility to consumption volatility. Stocks with volatile cash flows in uncertain aggregate times require higher expected returns.